A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES

LI Lei

系统科学与复杂性(英文) ›› 1994, Vol. 7 ›› Issue (2) : 169-176.

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系统科学与复杂性(英文) ›› 1994, Vol. 7 ›› Issue (2) : 169-176.
论文

A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES

    LI Lei
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A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES

    LI Lei
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摘要

Sometimes we have to compute the parameters of a multiple moving average process from its known autocovariances or spectral density. This paper proposes an iterative method by establishing a state space model for the process.

Abstract

Sometimes we have to compute the parameters of a multiple moving average process from its known autocovariances or spectral density. This paper proposes an iterative method by establishing a state space model for the process.

关键词

Multiple MA process / spectral factorizat

Key words

Multiple MA process / spectral factorization / state space model

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LI Lei. A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES. 系统科学与复杂性(英文), 1994, 7(2): 169-176
LI Lei. A METHOD TO FACTORIZE THE SPECTRAL DENSITY OF MULTIPLE MOVING AVERAGE PROCESSES. Journal of Systems Science and Complexity, 1994, 7(2): 169-176
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